Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0820
Annualized Std Dev 0.1423
Annualized Sharpe (Rf=0%) -0.5764

Row

Daily Return Statistics

Close
Observations 2914.0000
NAs 1.0000
Minimum -0.0756
Quartile 1 -0.0055
Median -0.0007
Arithmetic Mean -0.0003
Geometric Mean -0.0003
Quartile 3 0.0049
Maximum 0.0630
SE Mean 0.0002
LCL Mean (0.95) -0.0006
UCL Mean (0.95) 0.0000
Variance 0.0001
Stdev 0.0090
Skewness -0.1097
Kurtosis 4.2462

Downside Risk

Close
Semi Deviation 0.0063
Gain Deviation 0.0059
Loss Deviation 0.0060
Downside Deviation (MAR=210%) 0.0121
Downside Deviation (Rf=0%) 0.0065
Downside Deviation (0%) 0.0065
Maximum Drawdown 0.7119
Historical VaR (95%) -0.0137
Historical ES (95%) -0.0199
Modified VaR (95%) -0.0146
Modified ES (95%) -0.0231
From Trough To Depth Length To Trough Recovery
2010-01-12 2020-08-04 NA -0.7119 2817 2659 NA
2009-08-24 2009-10-01 2009-12-22 -0.0694 85 28 57
2009-12-29 2010-01-05 2010-01-11 -0.0159 9 5 4

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA NA NA NA NA 0.3 -1.2 -1.5 1.1 0.5 -0.8
2010 0.9 0 0.2 -1.2 -0.8 -0.2 -1.6 2.1 0.5 0.2 2.1 -0.6 1.6
2011 0.4 -0.3 -0.4 -0.3 -1.4 0.2 -1.1 -2 -2.5 -3.4 0.3 -0.3 -10.2
2012 1.2 0.9 1.7 0.5 -2.3 1.3 0.4 -1.4 -0.5 0.5 0.3 1.9 4.7
2013 1.3 -0.5 -0.8 -1 0.4 -0.2 1.7 0.2 0.3 1.1 -0.2 0.5 2.9
2014 -0.5 -0.1 1 -0.9 0.1 0.9 -0.8 -0.1 -1.9 0.3 0.5 -0.3 -2
2015 -1.7 -0.8 -1.4 1.4 1 1.4 -0.8 -0.7 -0.4 -0.6 -1.3 -0.5 -4.3
2016 0 1.6 -0.3 -0.2 -0.4 -1.4 0.9 0 0.7 -0.1 0.9 -0.3 1.4
2017 0.6 1.6 -0.3 0.8 0 0.3 -0.8 0.8 -0.2 -0.4 -1.3 -0.1 0.8
2018 1.5 -0.7 -0.6 0.4 0.5 0.2 0.8 0.2 0.7 0 -0.4 -0.4 2.2
2019 0.7 0.9 1.4 -0.4 -1.1 0.2 -2 0 -0.4 0.3 0.3 0.9 0.8
2020 -0.8 -2.3 -1.4 -0.6 0.7 0.2 0.2 -1.2 -0.1 1 1.4 0.1 -2.8
2021 0 1.6 -0.5 NA NA NA NA NA NA NA NA NA 1.1

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart